Wang, Peiwan
(2022)
CRISIS TRANSMITTING EFFECTS DETECTION AND EARLY WARNING SYSTEMS DEVELOPMENT FOR CHINA’S FINANCIAL MARKETS.
PhD thesis, University of Liverpool.
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Abstract
In the background of China’s economic development mode being focused the worldwide attention, there is a growing trend to study the risk transmission pattern and the crisis forecasting mechanism for China’s financial markets by domestic and global academics. The study progress, however, is observed to be affected by two gaping research problems: 1) few studies construct comparative contagion models and integrated crisis forecasting systems for China’s financial markets and 2) current econometric models hired to the risk spreading effects detection and the financial crisis forecasts are yet deterministically investigated in terms of the effectiveness on China. To fill the gaps, this research proposes two hybrid contagion models and prototypes the early warning systems with motivations of first analyzing the crisis linkages and transmission channels across domestic markets in hierarchical frameworks, and then predicting the market turbulence by integrating the crisis identifying techniques and time-dependent deep learning neuron networks. To accomplish our aims, the full project is progressed in phases by solving four technical challenges that portray two literature gaps of A) the crisis identification on the basis of price volatility state distinction, B) the decomposition for multivariate correlated patterns to infer the interdependence structure and risk spillover dynamics respectively, C) the real-time warning signals generation in comparison of between traditional and stylized predictive models and D) the contagion information fusion in the EWS frameworks to distinguish the leading indicators from between internal macroeconomic factors and external risk transmitters in statistical validation metrics. The research mainly contributes to the comparative analysis on financial contagion effects detection and market turbulence prediction through the hybrid model innovations for CM and EWS development, and meanwhile brings practical significance to improve the risk management in investing activities and support the crisis prevention in policy-making. In addition, the model experimented results corroborate the China-characterized mode on risk transmissions and crisis warnings that 1) the stocks and real estate markets are verified to play the central role among risk transmitters, while the managed floating foreign exchange rate and the non-fully liberalized bond market are peripheral during the crisis; and 2) the all-round opening up policy increases the possibility of domestic security markets being exposed to external risk factors, especially relating to the cash flows, energy commodities and precious metals.
| Item Type: | Thesis (PhD) |
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| Uncontrolled Keywords: | China's domestic markets, hybrid contagion detection models, deep neural networks with attention, integrated early warning system, Markovian regime switching, volatility defined crises |
| Divisions: | Faculty of Science and Engineering > School of Physical Sciences |
| Depositing User: | Symplectic Admin |
| Date Deposited: | 14 Jan 2022 09:06 |
| Last Modified: | 18 Jan 2023 21:16 |
| DOI: | 10.17638/03146474 |
| Supervisors: |
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| URI: | https://livrepository.liverpool.ac.uk/id/eprint/3146474 |
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